NO.PZ2019042401000010
问题如下：
A portfolio has two assets with equal amount investment, A and B. Asset A's expected excess return is 10% and its marginal VaR is 0.05. Asset B's expected excess return is 15% and its marginal VaR is 0.09. In order to achieve the goal of optimal portfolio, how should investment managers operate?
选项：
A.the weight assigned to asset A should be incresed.
B.the weight assigned to asset B should be incresed.
C.maintain the status quo because the portfolio is already optimal.
D.do nothing because of insufficient information.
解释：
A is correct.
考点：Managing Portfolios Using VAR
解析：判断当前的组合是否为最优组合时，我们用 expected excess return to MVaR ratio，ratio=expected excess return / MVaR.
A ratio=2，and B ratio=1.67. 说明当前的组合中增加A的头寸可以优化组合的收益和风险，因此选项A正确。
但是这样子，根据RATIO不是会导致得把所有头寸换成A才能变成最优吗
